Or HaChaim on Exodus 4:19/אור החיים על שמות ד׳:י״ט

1 אל משה במדין, to Moses in Midian. The reason that the Torah stresses that this communication from G'd to Moses took place in Midian is to praise Moses who was not afraid of his adversaries in Egypt at the time he argued against acceptance of the mission. All that concerned him was his own inadequacy for the gigantic task G'd wanted to charge him with. The Torah had to mention where the conversation took place as otherwise we would have assumed that the argument which swayed Moses was G'd's assurance that all the people who had tried to kill him had already died. Moses had already asked Yitro to release him from his oath before G'd mentioned that his pursuers were dead.